By checking the above error, you can make out that we are not able to connect to the Azure Storage resource due to some access issues. I checked online and found that you need to create Credentials on SQL Server from where you want to access the Azure Storage resource, and there are few methods for the same:

–> Method #1: Using storage account identity and Access Key

Azure Access Keys authenticates your applications when making requests to the Azure storage account. You will have to create a Credential on SQL Server end by providing the Access Key from your Azure Storage account, check below:

A Shared Access Signature (SAS) is a URI that grants restricted access rights to Azure Storage resources. You can provide a shared access signature to clients who should not be trusted with your storage account key but whom you wish to delegate access to certain storage account resources. By distributing a shared access signature URI to these clients, you grant them access to a resource for a specified period of time.